If appeasement ends, does USSR national will suddenly jump by 40 points? Conversely, if the N-S Pact ends, does French national will suddenly jump by 15 points? Do these jumps occur immediately?
Yes. Germany ending up in a two-front war increases the will of the other country.
I'm not sure I understand the exception in bullet 6 of 10.3.4. The reduction of 40 to Soviet national will takes place at the scenario's inception. How can there be an exception in the event of Soviet collapse?
The reduction is an effect of Appeasement. It modifies the raw value of Soviet national will as long as Appeasement is in effect.
If Germany goes east first and collapses Russia in 1940, the Moscow pact can end in early 1942 while Appeasement is still in effect. When that happens, USSR will is reset to 45. If Appeasement reduced it, it would be at 5 instead, but the exception means it will remain at 45 instead so a second collapse is not trivial to achieve.